Where are you clicking on 'start'? I don't know what you're clicking.
But yes, I'll make sure the next build has the installer pausing after finishing installation, so you can see where the executable is, that will at least partially solve the problem.
Ok, so the itch app doesn't support installers, you have to do it their way... which is a pest.
Best option for now is to just download directly, or if you use the app, run the installer then start the game from the command line separately: it should either be in ./thevoid or in your path as simple `thevoid'.
I'll look into better itch app support for alpha 2.